Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0283 |
| Annualized Std Dev | 0.2150 |
| Annualized Sharpe (Rf=0%) | 0.1317 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3714.0000 |
| NAs | 1.0000 |
| Minimum | -0.1162 |
| Quartile 1 | -0.0041 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0052 |
| Maximum | 0.1002 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0135 |
| Skewness | -0.2953 |
| Kurtosis | 12.7330 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0098 |
| Gain Deviation | 0.0103 |
| Loss Deviation | 0.0115 |
| Downside Deviation (MAR=210%) | 0.0143 |
| Downside Deviation (Rf=0%) | 0.0097 |
| Downside Deviation (0%) | 0.0097 |
| Maximum Drawdown | 0.6974 |
| Historical VaR (95%) | -0.0191 |
| Historical ES (95%) | -0.0343 |
| Modified VaR (95%) | -0.0197 |
| Modified ES (95%) | -0.0291 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-31 | 2009-03-05 | 2014-11-10 | -0.6974 | 1877 | 445 | 1432 |
| 2020-01-21 | 2020-03-23 | NA | -0.3765 | 295 | 44 | NA |
| 2018-01-29 | 2018-12-24 | 2019-11-01 | -0.1742 | 445 | 229 | 216 |
| 2015-02-17 | 2015-08-25 | 2016-03-17 | -0.1418 | 274 | 133 | 141 |
| 2016-07-25 | 2016-11-04 | 2017-02-21 | -0.0823 | 146 | 74 | 72 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 0.3 | -0.2 | 0.3 | -0.4 | -0.3 | 0 | -0.5 | -0.8 |
| 2007 | 0.5 | -0.2 | -0.1 | 0.3 | 0.1 | -0.4 | 1 | 1 | 1.5 | -3.4 | 1.5 | -0.2 | 1.6 |
| 2008 | 2.1 | -3.3 | 5.2 | 3.2 | -0.6 | 0.5 | 0.4 | -0.6 | 2.4 | 1.5 | -11.6 | 2.5 | 0.7 |
| 2009 | -3.5 | -4.2 | 2.3 | 0.1 | 2.1 | 0.3 | 0.6 | -3.5 | -3 | -3.5 | 1 | -1.2 | -12 |
| 2010 | 0.8 | 0.7 | 0.8 | -1 | -1.5 | -0.1 | -0.1 | 2.4 | 0.4 | -0.2 | 1.5 | -0.1 | 3.4 |
| 2011 | 1.1 | -1.1 | 0 | 0 | -1.4 | 1 | -0.4 | -0.7 | -1.2 | -2.1 | -0.3 | -0.3 | -5.4 |
| 2012 | 0.7 | 0.2 | 0.6 | 0.4 | -1.6 | 1.7 | -0.1 | 0.2 | 0.2 | 0.4 | 0.2 | 1.3 | 4.2 |
| 2013 | 0.8 | 0.2 | -0.1 | -0.9 | -1.4 | 0 | 0.8 | -0.2 | 0.7 | 0.3 | -0.2 | 0.1 | 0.1 |
| 2014 | -0.4 | 0.7 | 0.2 | -0.1 | 0.4 | 0.3 | -0.1 | 0.5 | -0.9 | 1.2 | -0.1 | -1.1 | 0.5 |
| 2015 | -1.3 | 0 | 0 | 0.5 | 0 | 0.5 | -0.2 | -2.8 | -0.1 | -0.2 | 0.9 | -0.6 | -3.4 |
| 2016 | -0.1 | 1.6 | 0.2 | -0.3 | 0 | 0.1 | -0.6 | 0.1 | 0.5 | -0.9 | -0.6 | -0.2 | -0.3 |
| 2017 | -0.7 | 0.6 | -0.2 | -0.1 | 0.9 | 0.1 | 0.1 | 0.3 | 0 | 0.2 | 0 | -0.3 | 1.1 |
| 2018 | -0.1 | -0.7 | 0.8 | -0.3 | 0.4 | 0.1 | -0.4 | -0.2 | 0 | 0.5 | 0.9 | 0.3 | 1.3 |
| 2019 | 0.2 | 0.4 | 0.9 | -0.8 | -1.2 | 0.3 | -1.1 | 0.3 | -1.2 | 1 | -0.4 | 0.4 | -1.3 |
| 2020 | -1.1 | -1.7 | -4.7 | -3 | -0.2 | -0.1 | -0.5 | -0.7 | 0.1 | 0.2 | 1.1 | 0.8 | -9.4 |
| 2021 | 0.5 | 1.8 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
